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共同成分结构 VARAI 解读

Structural VAR models (SVAR) produce results that can vary dramatically with the choice of variables, because information is deficient. We argue that if the variables of interest belong to a High-Dimensional Factor Model and are replaced in the SVAR by their common components, the information issue finds a solution, provided that the number of common components is larger than the number of structural shocks, so that the SVAR is dynamically singular. This is the Common…

利用动态因子模型为 DSGE 模型提供信息AI 解读

ABSTRACT Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log‐linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show that the factor model…

用 SVAR 与高维动态因子模型验证 DSGE 模型AI 解读

A popular validation procedure for Dynamic Stochastic General Equilibrium (DSGE) models consists in comparing the structural shocks and impulse-response functions obtained by estimation-calibration of the DSGE with those obtained in an Structural Vector Autoregressions (SVAR) identified by means of some of the DSGE restrictions. I show that this practice can be seriously misleading when the variables used in the SVAR contain measurement errors. If this is the case, for…

大维动态因子模型：含一阶单整协整因子的脉冲响应估计AI 解读

We study a large-dimensional Dynamic Factor Model where: (i) the vector of factors Ft is I(1) and driven by a number of shocks that is smaller than the dimension of Ft; and, (ii) the idiosyncratic components are either I(1) or I(0). Under (i), the factors Ft are cointegrated and can be modeled as a Vector Error Correction Model (VECM). Under (i) and (ii), we provide consistent estimators, as both the cross-sectional size n and the time dimension T go to infinity, for the…

无限维因子空间的动态因子模型：预测AI 解读

Summary The paper compares the pseudo real‐time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in 2002; (ii) the model based on generalized principal components, introduced by Forni, Hallin, Lippi, and Reichlin in 2005; (iii) the model recently proposed by Forni, Hallin, Lippi, and Zaffaroni in 2015. We employ a large monthly dataset of macroeconomic and financial time series for the US…

无限维因子空间动态因子模型的渐近分析AI 解读

Factor models, all particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni et al., (2000), have become extremely popular in the theory and practice of large panels of time series data. The asymptotic properties (consistency and rates) of the corresponding estimators have been studied in Forni et al. (2004). Those estimators, however, rely on Brillinger’s concept of dynamic principal components, and thus involve two-sided filters, which leads to…

无限维因子空间动态因子模型的单边表示AI 解读

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forniet al. (2000). That paper, however, rests on Brillinger’s dynamic principal components. The corresponding estimators are two-sided filters whose performance at the end of the observation period or for forecasting…

一般动态因子模型的单边表示结果AI 解读

Recent dynamic factor models have been almost exclusively developed under the assumption that the common components span a finite-dimensional vector space. However, this finite-dimension assumption rules out very simple factor-loading patterns and is therefore severely restrictive. The general case has been studied, using a frequency domain approach, in Forni et al. (2000). That paper produces an estimator of the common components that is consistent but is based on filters…

打开黑箱：大横截面结构因子模型AI 解读

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We argue that all identification schemes employed in structural vector autoregression (SVAR) analysis can be easily adapted in dynamic factor models. Moreover, the “problem of fundamentalness,” which is intractable in SVARs, can be solved, provided that the impulse-response functions are sufficiently heterogeneous. We provide consistent estimators for the impulse-response…

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谱表示定理所用逼近的若干问题AI 解读

In many important textbooks the formal statement of the spectral representation theorem is followed by a process version, usually informal, stating that any stationary stochastic process {ξ(t), t ∈ T} is the limit in quadratic mean of a sequence of processes {S(n,t), t ∈ T}, each consisting of a finite sum of harmonic oscillations with stochastic weights. The natural issues, whether the approximation error ξ(t) − S(n,t) is stationary or whether at least it converges to zero…

广义动态因子模型：表示理论AI 解读

This paper, along with the companion paper Forni, Hallin, Lippi, and Reichlin (2000, Review of Economics and Statistics 82, 540–554), introduces a new model—the generalized dynamic factor model —for the empirical analysis of financial and macroeconomic data sets characterized by a large number of observations both cross section and over time. This model provides a generalization of the static approximate factor model of Chamberlain (1983, Econometrica 51, 1181–1304) and…

This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence as both time and…

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